E-mini S&P 500 Futures (ES) Greeks History
Greeks history tracks how Delta, Gamma, Theta, and Vega have evolved over time for a given expiration or position. Trends in Greeks can reveal shifting risk profiles and market dynamics.
E-mini S&P 500 Futures (ES) operates in the Equity Index Futures sector, specifically the Equity Index Futures industry, listed on CME. CME E-mini S&P 500 futures (ES): the most liquid US equity index futures contract, tracking the S&P 500 index.
Snapshot as of May 19, 2026.
- Spot Price
- $68.75
- Net Gamma
- $734.0K
- Net Delta
- -$10.8M
- Net Vega
- -$38.5K
- Term Structure Slope
- 0.01
As of May 19, 2026, E-mini S&P 500 Futures (ES) snapshot Greeks are net delta -$10.8M, net gamma $734.0K, net vega -$38.5K. Term structure slope is +0.011, indicating contango (front-month IV below back-month, a typical stable-market posture). Historical aggregate Greeks let traders see how dealer positioning has shifted across regime changes. Large swings in net gamma or net vega often precede volatility expansion.
How ES greeks history Data Feeds Strategy Selection
Strategy selection on E-mini S&P 500 Futures options does not derive from any single metric in isolation. The greeks history view above sits inside a broader read: ATM IV currently sits at 20.5% and dealer gamma exposure is positive, so dealer hedging is mechanically mean-reverting. Combine the greeks history data here with the volatility-skew surface, dealer-gamma exposure, max-pain level, and upcoming-events calendar to build a positioning thesis. Risk-defined structures (credit spreads, debit spreads, iron condors) are usually safer than naked positions while the regime is uncertain; the data on this page anchors the inputs but does not by itself constitute a trade thesis.
How to read the ES Greeks profile
The chart above tracks net dealer Greeks day by day so you can see how the aggregate book has moved over recent weeks. Current net dealer gamma is $734.0K - a positive (mean-reverting) hedging regime. Net dealer delta of -$10.8M indicates short-delta dealer book - dealers are net short the underlying. Net vega of -$38.5K measures dealer P&L sensitivity to IV shifts - a 1-point IV move shifts book value by approximately $38.5K.
ES Greeks regime and dealer hedging
Aggregate dealer Greeks compress 4 sensitivities (delta, gamma, theta, vega) into a single read on hedging behavior. In the current positive-gamma regime, dealer hedging is structurally mean-reverting: as ES moves higher, dealers sell into rallies; as it moves lower, dealers buy into dips. This is the mechanical basis for the "pin to max pain" pattern. Gamma decays as expiration approaches; near-dated Greek exposures dominate the hedging flow.
Using ES Greeks data for strategy selection
The Greeks profile is the input to most quantitative options strategies. Premium-selling structures (covered calls, iron condors, cash-secured puts) are negative-gamma, positive-theta, negative-vega - they pay you for being patient about realized volatility but get hit when realized exceeds implied. Premium-buying structures (long calls, long puts, long straddles, ratio backspreads) are positive-gamma, negative-theta, positive-vega - they pay you when realized exceeds implied but bleed time decay otherwise. With ES IV rank at 2.1%, premium-buying has structural tailwind from cheap implied; pair with a directional thesis or event catalyst. Combine the regime read with the Greeks decomposition on this page to size structures correctly.
Learn how options Greeks is reported and how to read the data →
Daily aggregate net dealer Greeks for ES over the last ~34 trading days. Net GEX flips between positive (mean-reverting hedging regime) and negative (momentum-amplifying regime); DEX tracks directional hedging size; Vex tracks vol-of-vol exposure.
Most recent 15 trading days (descending). Older history appears in the chart above.
| Date | Net GEX | Net DEX | Net Vex | ATM IV |
|---|---|---|---|---|
| May 19, 2026 | $734.0K | -$10.8M | -$38.5K | 20.5% |
| May 18, 2026 | $685.6K | -$8.8M | -$37.1K | 19.6% |
| May 15, 2026 | $190.6K | -$65.7K | -$25.9K | 19.6% |
| May 14, 2026 | $2.8M | -$5.2M | -$30.2K | 21.6% |
| May 13, 2026 | $2.0M | -$3.3M | -$29.4K | 21.6% |
| May 12, 2026 | $2.7M | -$6.4M | -$34.9K | 21.1% |
| May 11, 2026 | $1.3M | -$2.6M | -$31.6K | 220.7% |
| May 8, 2026 | $848.6K | -$1.4M | -$31.3K | 126.6% |
| May 7, 2026 | $1.5M | -$5.5M | -$37.6K | 261.1% |
| May 6, 2026 | $1.8M | -$11.0M | -$42.8K | 32.9% |
| May 5, 2026 | $2.1M | -$12.9M | -$45.8K | 30.0% |
| May 4, 2026 | $2.0M | -$12.8M | -$47.3K | 461.5% |
| May 1, 2026 | $1.8M | -$18.7M | -$51.7K | 30.2% |
| Apr 30, 2026 | $2.2M | -$17.2M | -$50.3K | 11.2% |
| Apr 29, 2026 | $1.5M | -$9.5M | -$47.9K | 17.8% |
Frequently asked ES greeks history questions
- What are the ES aggregate Greek exposures?
- As of May 19, 2026, E-mini S&P 500 Futures (ES) snapshot Greeks are net delta -$10.8M, net gamma $734.0K, net vega -$38.5K. These aggregate the dealer book across all listed strikes and expirations under the standard customer-versus-dealer sign convention.
- What does the ES net dealer delta tell us?
- Net dealer delta of -$10.8M represents the directional exposure dealers carry from their option inventory. Dealers continuously hedge this exposure with stock, futures, or correlated instruments, so the size of net delta is also the size of hedge flow that will execute as spot moves.
- How do ES Greeks inform hedging?
- Delta tracks first-order directional exposure; gamma tracks how quickly delta changes; vega tracks IV sensitivity. Aggregated dealer Greeks let traders read the dealer-positioning regime: long-gamma regimes mean-revert moves; short-gamma regimes amplify them. Vega exposure indicates how dealer P&L responds to vol shocks and hence the direction of vol-shock hedging flows.